Hi undrcvr, I work at Quantopian. We'd love to hear your thoughts on our open-sourced Zipline backtester: https://github.com/quantopian/zipline and learn more about what you're building - there are lots of interesting challenges in this space.
How do you guy handle situations where there may not be a trade that day. For example: with OTCBBs. Also, how would you handle unexpected market closures [such as the flash crash?]
I've been developing my own back tester for quite a while [in Java] and I must say: You guys are doing some interesting stuff and its a challenging area.
Our backtester is event driven. During any closure, there are no events, so we simply "fast forward" through the closure and send your algorithm the next available event.
We provide a facility for working with trailing windows as pandas dataframes, which are updated by the events. You can control whether those trailing windows have NaN values for missing bars, or if values are filled forward. You'd keep the NaNs if you want your algo to be aware of empty bars (stock is held, thinly traded, etc). You keep the fill forward if you want to avoid coding guards on NaNs :).
Indeed there is lots that can still be done. Not going to share anything here, but don't worry, I don't believe in backtesting so I'm not implementing it =)